In financial markets where electronic trading is conducted, Algorithmic Trading uses a computer program to place trade orders, that is, use computer algorithms to determine the timing, price and even the product number of the order placed in the transaction and the order number. Algorithmic trading is widely used by hedge funds, pension funds, mutual funds, and other institutional traders. They break down large transactions into small transactions to better manage market impact costs, opportunity costs and risks. Algorithmic trading can be applied to any investment strategy, including market making, cross-market arbitrage, cash arbitrage and unilateral speculation (including trend followers). At any stage of investment decision-making and execution, algorithmic trading signals can provide good technical support, and even the entire investment decision and execution can be completely automated by algorithmic trading.
The TTF (Tigerstone Trading Framework) algorithmic trading system is an automated trading system specially designed and developed for securities companies.
1. TTF is not an independent system, and it is linked to the securities company’s order system (OMS/EMS)。
2. The TTF consists of the following components：
• Market data system interface.
• Exchange and its operation interface.
• Order system and its interface.
• Strategy Engine.
• Management tools.
3. Characteristics of TTF.
4. Use industry’s custom standards (FIX protocol) to make it easier to integrate with the order system.
TTF automated securities algorithmic trading system system architecture
The combination cases of TTF automated securities algorithmic trading system and securities company order system
TTF automated securities algorithm trading system management tool（1）
TTF automated securities algorithmic trading system management tool（2）
1. Improve the capability of order execution of institutional investors.
2. Improve the efficiency of order execution of institutional investors.
3. Risk management of order execution become possible (transaction costs, opportunity costs and risk aversion).
4. The perfect combination of information technology and securities trading technology, mathematical models, statistics, and game theory.
5. Excellent expansibility.
1. Execution engine deals with complex orders
VWAP/TWAP, Iceberg, Peg, InLineVolume, InLinePrice and other trading strategies.
2. The order execution ability is significantly improved
For example, each trade executive can execute 10 to 20 large orders per day on average, while TTF-ALGO can execute 1,000 large orders per day.
3. Reduce the labor costs of hiring executive traders and reduce reliance on trader skills
4. The quality of order execution has been significantly improved
Fully implement the customer’s trading instructions, more perfect execution price.
5. Establishing an important technical means of service branding and marketing to customers, providing competitive differentiated services
For some customers, algorithmic trading (ALGO) is a necessary prerequisite for business operations.
The TTF automated algorithmic trading system is widely applied in the customer order-execution business of the hedge fund of a Japanese securities company.